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Valeri Voev

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This is information that was supplied by Valeri Voev in registering through RePEc. If you are Valeri Voev , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Valeri
Middle Name:
Last Name: Voev
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RePEc Short-ID: pvo59

Email:
Homepage: http://www.econ.au.dk/research/research-centres/creates/people/research-fellows/valeri-voev/
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Affiliation

(in no particular order)

Works

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Working papers

  1. Roxana Halbleib & Valeri Voev, 2011. "Forecasting Covariance Matrices: A Mixed Frequency Approach," CREATES Research Papers 2011-03, School of Economics and Management, University of Aarhus.
  2. Rasmus Tangsgaard Varneskov & Valeri Voev, 2010. "The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts," CREATES Research Papers 2010-45, School of Economics and Management, University of Aarhus.
  3. Roxana Halbleib & Valerie Voev, 2010. "Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors," Working Papers ECARES ECARES 2010-041, ULB -- Universite Libre de Bruxelles.
  4. Peter R. Hansen & Asger Lunde & Valeri Voev, 2010. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," CREATES Research Papers 2010-74, School of Economics and Management, University of Aarhus.
  5. Ingmar Nolte & Valeri Voev, 2009. "Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise," CREATES Research Papers 2009-16, School of Economics and Management, University of Aarhus.
  6. Valeri Voev, 2009. "On the Economic Evaluation of Volatility Forecasts," CREATES Research Papers 2009-56, School of Economics and Management, University of Aarhus.
  7. Roxana Chiriac & Valeri Voev, 2008. "Modelling and Forecasting Multivariate Realized Volatility," CREATES Research Papers 2008-39, School of Economics and Management, University of Aarhus.
  8. Ingmar Nolte & Valeri Voev, 2007. "Estimating High-Frequency Based (Co-) Variances: A Unified Approach," CoFE Discussion Paper 07-07, Center of Finance and Econometrics, University of Konstanz.
  9. Valeri Voev, 2007. "Dynamic Modeling of Large Dimensional Covariance Matrices," CoFE Discussion Paper 07-01, Center of Finance and Econometrics, University of Konstanz.
  10. Ingmar Nolte & Valeri Voev, 2007. "Panel Intensity Models with Latent Factors: An Application to the Trading Dynamics on the Foreign Exchange Market¤," CoFE Discussion Paper 07-02, Center of Finance and Econometrics, University of Konstanz.
  11. Valeri Voev, 2006. "A Trade-by-Trade Surprise Measure and Its Relation to Observed Spreadson the NYSE," CoFE Discussion Paper 06-03, Center of Finance and Econometrics, University of Konstanz.

Articles

  1. Roxana Chiriac & Valeri Voev, 2011. "Modelling and forecasting multivariate realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 922-947, 09.
  2. Valeri Voev, 2011. "Trading Dynamics in the Foreign Exchange Market: A Latent Factor Panel Intensity Approach," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(4), pages 685-716.
  3. Roxana Halbleib & Valeri Voev, 2011. "Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 231(1), pages 134-152, February.
  4. Valeri Voev & Asger Lunde, 2007. "Integrated Covariance Estimation using High-frequency Data in the Presence of Noise," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(1), pages 68-104.

NEP Fields

15 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2008-06-27
  2. NEP-DCM: Discrete Choice Models (1) 2007-04-21
  3. NEP-ECM: Econometrics (12) 2007-04-28 2007-04-28 2007-08-08 2008-06-27 2008-09-05 2008-10-21 2009-05-02 2009-12-05 2010-02-05 2010-09-03 2011-01-30 2011-01-30. Author is listed
  4. NEP-ETS: Econometric Time Series (11) 2007-04-28 2007-04-28 2007-08-08 2008-06-27 2008-09-05 2008-10-21 2010-02-05 2010-09-03 2010-12-11 2011-01-30 2011-01-30. Author is listed
  5. NEP-FMK: Financial Markets (3) 2008-09-05 2009-05-02 2010-12-11
  6. NEP-FOR: Forecasting (7) 2007-04-28 2008-09-05 2008-10-21 2009-12-05 2010-09-03 2011-01-30 2011-01-30. Author is listed
  7. NEP-MST: Market Microstructure (8) 2007-04-21 2007-04-28 2007-08-08 2008-06-27 2009-05-02 2010-09-03 2011-01-30 2011-01-30. Author is listed
  8. NEP-ORE: Operations Research (5) 2008-09-05 2008-10-21 2009-12-05 2010-02-05 2011-01-30. Author is listed
  9. NEP-RMG: Risk Management (1) 2011-01-30
  10. NEP-UPT: Utility Models & Prospect Theory (2) 2008-09-05 2008-10-21

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